Key Takeaways
- • Metori Capital Management's Amundi Metori Epsilon Global Trends UCITS fund won The Hedge Fund Journal's UCITS Hedge Award for Best Performing Fund over 10 years (ending December 2024) in the CTA–Trend Following category, validating the manager's long-term performance credentials.
- • The SG Trend Index has generated cumulative returns of approximately 284% since 2000 with a maximum drawdown only double its volatility, compared to drawdown-to-volatility ratios of 4–9 times for other hedge fund strategy indices, demonstrating superior risk-adjusted performance for trend-following strategies.
- • Trend-following CTAs have delivered the strongest absolute returns and lowest equity market correlation since January 2000, positioning them as a strategic asset allocation component despite short-term performance criticism over the past five years.
- • Nicolas Gaussel, CEO and CIO of Metori, emphasizes that while merger arbitrage strategies exhibit higher Sharpe ratios, their low average volatility constrains return potential, making trend strategies more attractive for institutional portfolios seeking both risk management and growth.
- • Metori's updated 2019 research paper supports the counterintuitive case for CTAs as a core portfolio holding, demonstrating that low equity correlation and 25-year performance data offset recent underperformance in the trend-following category.
Summary
Metori Capital Management has reasserted the strategic value of commodity trading advisors (CTAs) and trend-following strategies within institutional portfolios, backed by quantitative evidence spanning 25 years of market data. The Paris-based manager's Amundi Metori Epsilon Global Trends UCITS fund secured The Hedge Fund Journal's UCITS Hedge Award for Best Performing Fund over the 10-year period ending December 2024, cementing its position among leading trend-following managers. According to CEO and CIO Nicolas Gaussel, this recognition reflects not only recent performance but also Metori's broader thesis on CTAs' role in strategic asset allocation.
Metori's research, originally published in 2019 and recently updated, presents a compelling comparative analysis of hedge fund strategy indices over the past quarter-century. The SG Trend Index, selected as the benchmark most closely aligned with pure-play trend followers like Metori, has generated cumulative returns of approximately 284% since 2000. More significantly, the index's maximum drawdown has remained approximately double its volatility—a favorable risk metric compared to other hedge fund strategy indices sourced from HFRX, which exhibit maximum drawdown-to-volatility ratios ranging from 4 to 9 times. This differential highlights the risk-adjusted superiority of trend-following approaches relative to alternative strategies.
Gaussel argues that trend-following strategies warrant consideration as a core strategic allocation despite industry skepticism, particularly following the underperformance witnessed in the past five years. He emphasizes that since January 2000, trend strategies have delivered the strongest absolute returns while maintaining consistently low correlation to equity markets—a defensive characteristic particularly valuable during periods of broader market stress. While acknowledging that merger arbitrage indices have produced higher Sharpe ratios, Gaussel contends that this advantage is offset by the strategy's structurally lower average volatility, which constrains overall return potential and limits its utility as a growth component within a diversified portfolio.
The manager's perspective challenges the "trend is dead" narrative that gained traction in late 2018, pointing to the strategy's subsequent recovery as evidence of its structural resilience. By integrating long-term performance metrics with low equity correlation characteristics, Metori positions CTAs as a rational component of institutional asset allocation frameworks rather than as a tactical overlay. This positioning aligns with the broader institutional shift toward recognizing managed futures strategies as systematic, rules-based approaches capable of generating uncorrelated returns across market cycles.
Metori's research, originally published in 2019 and recently updated, presents a compelling comparative analysis of hedge fund strategy indices over the past quarter-century. The SG Trend Index, selected as the benchmark most closely aligned with pure-play trend followers like Metori, has generated cumulative returns of approximately 284% since 2000. More significantly, the index's maximum drawdown has remained approximately double its volatility—a favorable risk metric compared to other hedge fund strategy indices sourced from HFRX, which exhibit maximum drawdown-to-volatility ratios ranging from 4 to 9 times. This differential highlights the risk-adjusted superiority of trend-following approaches relative to alternative strategies.
Gaussel argues that trend-following strategies warrant consideration as a core strategic allocation despite industry skepticism, particularly following the underperformance witnessed in the past five years. He emphasizes that since January 2000, trend strategies have delivered the strongest absolute returns while maintaining consistently low correlation to equity markets—a defensive characteristic particularly valuable during periods of broader market stress. While acknowledging that merger arbitrage indices have produced higher Sharpe ratios, Gaussel contends that this advantage is offset by the strategy's structurally lower average volatility, which constrains overall return potential and limits its utility as a growth component within a diversified portfolio.
The manager's perspective challenges the "trend is dead" narrative that gained traction in late 2018, pointing to the strategy's subsequent recovery as evidence of its structural resilience. By integrating long-term performance metrics with low equity correlation characteristics, Metori positions CTAs as a rational component of institutional asset allocation frameworks rather than as a tactical overlay. This positioning aligns with the broader institutional shift toward recognizing managed futures strategies as systematic, rules-based approaches capable of generating uncorrelated returns across market cycles.
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